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Unit of study_

Stochastic Processes - STAT3021

Year - 2019

A stochastic process is a mathematical model of time-dependent random phenomena and is employed in numerous fields of application, including economics, finance, insurance, physics, biology, chemistry and computer science. After setting up basic elements of stochastic processes, such as time, state, increments, stationarity and Markovian property, this unit develops important properties and limit theorems of discrete-time Markov chain and branching processes. You will then establish key results for the Poisson process and continuous-time Markov chains, such as the memoryless property, super positioning, thinning, Kolmogorov's equations and limiting probabilities. Various illustrative examples are provided throughout the unit to demonstrate how stochastic processes can be applied in modeling and analyzing problems of practical interest. By completing this unit, you will develop the essential basis for further studies, such as stochastic calculus, stochastic differential equations, stochastic control and financial mathematics.

Classes
3 lectures per week, tutorial 1hr per week.

Assessment
2 x Quiz (2 x 15%), 2 x Assignment (2 x 5%), Final Exam (60%)

Pre-requisites

STAT2X11 and (MATH1003 or MATH1903 or MATH1907 or MATH1023 or MATH1923 or MATH1933)

Prohibitions

STAT3911 or STAT3011

Details

Faculty: Science

Semester 1

25 Feb 2019

Department/School: Mathematics and Statistics Academic Operations
Study Mode: Normal (lecture/lab/tutorial) day
Census Date: 31 Mar 2019
Unit of study level: Senior
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Location
Camperdown
More details
Unit of Study coordinator: Dr John Ormerod
HECS Band: 2
Courses that offer this unit

Non-award/non-degree study If you wish to undertake one or more units of study (subjects) for your own interest but not towards a degree, you may enrol in single units as a non-award student. Cross-institutional study If you are from another Australian tertiary institution you may be permitted to undertake cross-institutional study in one or more units of study at the University of Sydney.

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